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Master Theses Digi 2025

High-Frequency Trading and Macroeconomic News: Investigating Potential Information Asymmetries and The Potential Impact on Market Fairness

This thesis examines whether HFT firms gain unfair advantages during macroeconomic news releases due to dissemination and infrastructure. Using Deutsche Börse data, it analyzes how timing and access to FOMC, NFP, and ISM news impact trading profitability.

Yannick Burkhalter

• 1 min read
High-Frequency Trading and Macroeconomic News: Investigating Potential Information Asymmetries and The Potential Impact on Market Fairness
This illustration reflects the core logic of the thesis: how macroeconomic indicators are digitally disseminated and processed at high speed by algorithmic trading systems - emphasizing the critical role of infrastructure and latency in shaping modern market fairness. Source: Image generated with ChatGPT.

Topic

This thesis investigates whether high-frequency trading (HFT) firms gain unfair advantages during macroeconomic news releases due to both dissemination mechanisms and technological infrastructure. It analyzes how timing disparities and access paths for FOMC statements, NFP reports, and ISM PMIs may lead to information asymmetries. Using proprietary Deutsche Börse data, the study extends prior research by evaluating how the speed influence trading profitability in high-frequency environments.

Relevance

Macroeconomic news often moves markets within milliseconds, yet synchronized access is hindered by geographic and infrastructural gaps. This thesis contributes to the debate on market fairness by examining how latency and dissemination design shape access to such announcements. It offers insights for regulators, exchanges, and institutional traders seeking to ensure fair competition and transparency in high-speed markets.

Results

The analysis shows that latency alone does not determine trading profitability. While fast execution is important, the most profitable trades often occur in the 25–100 µs range. Notably, normalized profits are highest in slower latency buckets, suggesting that informational content plays a key role - challenging the assumption that faster is always better in HFT.

Implications for practitioners

  • Latency-optimized infrastructure alone does not ensure trading success - news content matters.
  • Regulators should reassess dissemination procedures for fairness and equal access.
  • Exchanges must evaluate whether co-location and data feed services promote structural equity
  • Institutional traders may benefit from focusing on strategic execution, not just speed.
  • Informational content should guide HFT strategy alongside infrastructure considerations.

Methods

The thesis applies a scoping literature review and an event-based empirical analysis using proprietary Deutsche Börse data. It focuses on over 30,000 trades triggered by macroeconomic announcements (FOMC, NFP, ISM). Two latency metrics—reaction and internal—were calculated from precise timestamps, alongside normalized profitability per trade. Analytical techniques included t-tests, correlation analysis, and multivariate regressions with robust standard errors to explore the relationship between latency and profitability.

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